Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions-Reference-Cited by-同舟云学术

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Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions

Published:2017-11 Issue:11 Volume:63 Page:3961-3977
ISSN:0025-1909
Container-title:Management Science
language:en
Short-container-title:Management Science

Author:

Fu Michael C.¹,Li Bingqing²,Li Guozhen²,Wu Rongwen³

Affiliation:

1. Robert H. Smith School of Business and Institute for Systems Research, University of Maryland, College Park, Maryland 20742

2. School of Finance, Nankai University, 300350 Tianjin, China

3. Capital One Financial Corporation, McLean, Virginia 22102

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Strategy and Management

Link

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2016.2522

Reference39 articles.

1. Jump Diffusion Option Valuation in Discrete Time

2. Russian and American put options under exponential phase-type Lévy models

3. A Simplified Jump Process for Common Stock Returns

4. The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

5. Empirical option pricing: a retrospection

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1. Pure risk, agency conflict, and hedging;Journal of Banking & Finance;2024-11

2. A general method for analysis and valuation of drawdown risk;Journal of Economic Dynamics and Control;2023-07

3. Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model;Frontiers of Mathematical Finance;2022

4. Risk-based premium evaluation with jump diffusion process for PBGC;Communications in Statistics - Theory and Methods;2021-06-15

5. Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method;Computational Economics;2020-10-09

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